Bond Citi Global Markets 0% ( US17327U4426 ) in USD

Citi Global Markets

14.01 % ⇌

United States

US17327U4426 ( in USD )

0%

27/04/2026

Prospectus brochure of the bond Citigroup Global Markets Holdings US17327U4426 en USD 0%, maturity 27/04/2026

1 000 USD

7 870 000 USD

17327U442

N/A

NR

Citigroup Global Markets Holdings Inc. is a subsidiary of Citigroup Inc. providing a wide range of financial services, including securities brokerage, investment banking, and trading across various asset classes globally.

This financial instrument, identified by ISIN US17327U4426 and CUSIP 17327U442, is a bond issued by Citigroup Global Markets Holdings, a key subsidiary of the multinational investment bank and financial services corporation, Citigroup Inc., primarily engaged in capital markets activities including trading, underwriting, and structured products issuance. Originated in the United States, this bond is denominated in USD and currently trades on the market at 14.01% of its par value. Notably, it is classified as a zero-coupon instrument, featuring a stated interest rate of 0%; however, a payment frequency of 2 is indicated. The total size of this particular issuance stands at 7,870,000 units, with a minimum purchase quantity of 1,000 units. The bond is scheduled to reach its maturity on April 27, 2026, and has been assigned an 'NR' (Not Rated) designation by Moody's, indicating that the agency has not provided a credit rating for this specific instrument.

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424B2 1 dp126708_424b2-us2096726.htm PRICING SUPPLEMENT
Citigroup Global Markets Holdings Inc.
April 22, 2020
Medium-Term Senior Notes, Series N
Pricing Supplement No. 2020--USNCH4177
Filed Pursuant to Rule 424(b)(2)
Registration Statement Nos. 333-224495 and 333-224495-
03
787,000 Trigger PLUS Based on a Basket of Three Underliers Due April 27, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Overview
The securities offered by this pricing supplement are unsecured debt securities issued by Citigroup Global Markets
Holdings Inc. and guaranteed by Citigroup Inc. Unlike conventional debt securities, the securities do not pay interest and
do not repay a fixed amount of principal at maturity. Instead, the securities offer a payment at maturity that may be
greater than, equal to or less than the stated principal amount, depending on the performance of a basket (the "basket")
consisting of the MSCI Emerging Markets® Index, the EURO STOXX 50® Index and the S&P 500® Index, each a
"basket component," from the initial basket level to the final basket level.
The securities offer leveraged exposure to a limited range of potential appreciation of the basket and contingent
downside protection against loss for a limited range of potential depreciation of the basket as described below. In
exchange for those features, investors in the securities must be wil ing to forgo (i) any appreciation of the basket in
excess of the maximum return at maturity specified below and (i ) any dividends that may be paid on the stocks that
constitute the basket components. In addition, investors in the securities must be wil ing to accept ful downside
exposure to the basket if the basket depreciates by more than 35.00%. If the basket depreciates by more than
35.00% from the pricing date to the valuation date, you will lose 1% of the stated principal amount of your
securities for every 1% by which the final basket level is less than the initial basket level. There is no minimum
payment at maturity.
In order to obtain the modified exposure to the basket that the securities provide, investors must be wil ing to accept (i)
an investment that may have limited or no liquidity and (i ) the risk of not receiving any amount due under the securities if
we and Citigroup Inc. default on our obligations. All payments on the securities are subject to the credit risk of
Citigroup Global Markets Holdings Inc. and Citigroup Inc.
KEY TERMS

Issuer:
Citigroup Global Markets Holdings Inc., a whol y owned subsidiary of Citigroup Inc.
Guarantee:
Al payments due on the securities are ful y and unconditional y guaranteed by Citigroup
Inc.
Basket:
Basket Component
Weighting
Initial Component
Level*
10%
888.64

MSCI Emerging Markets® Index (ticker symbol:
"MXEF")
30%
2,834.90

EURO STOXX 50® Index (ticker symbol:
"SX5E")

S&P 500® Index (ticker symbol: "SPX")
60%
2,799.31

* The initial component level for each basket component wil be its closing level on the
pricing date
Aggregate stated principal
$7,870,000
amount:
Stated principal amount:
$10.00 per security
Pricing date:
April 22, 2020
Issue date:
April 27, 2020
Valuation date:
April 22, 2026, subject to postponement if such date is not a scheduled trading day or if
certain market disruption events occur
Maturity date:
April 27, 2026
Payment at maturity:
For each $10.00 stated principal amount security you hold at maturity:
If the final basket level is greater than the initial basket level:
$10.00 + the leveraged return amount, subject to the maximum return at maturity
If the final basket level is less than or equal to the initial basket level but greater
than or equal to the trigger level:
$10.00
If the final basket level is less than the trigger level:
$10.00 + ($10.00 × the basket return)
If the final basket level is less than the trigger level, your payment at maturity will
be less, and possibly significantly less, than $6.50 per security. You should not
invest in the securities unless you are willing and able to bear the risk of losing a
significant portion and up to all of your investment.
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Initial basket level:
100
Final basket level:
100 × (1 + the sum of the weighted component returns of the basket components)
Weighted component return:
For each basket component, its weighting multiplied by its component return
Component return:
For each basket component: (final component level initial component level) / initial
component level
Final component level:
For each basket component, its closing level on the valuation date.
Basket return:
(i) The final basket level minus the initial basket level, divided by (i ) the initial basket
level
Leveraged return amount:
$10.00 × the basket return × the leverage factor
Leverage factor:
150.00%
Trigger level:
65, 65.00% of the initial basket level
Maximum return at maturity:
$10.00 per security (100% of the stated principal amount). The payment at maturity per
security wil not exceed $10.00 plus the maximum return at maturity.
Listing:
The securities wil not be listed on any securities exchange
CUSIP / ISIN:
17327U442 / US17327U4426
Underwriter:
Citigroup Global Markets Inc. ("CGMI"), an affiliate of the issuer, acting as principal
Underwriting fee and issue
Issue price(1)(2)
Underwriting fee
Proceeds to issuer
price:
Per security:
$10.00
$0.30(2)
$9.65

$0.05(3)

Total:
$7,870,000.00
$275,450.00
$7,594,550.00
(1) On the date of this pricing supplement, the estimated value of the securities is $9.085 per security, which is less than
the issue price. The estimated value of the securities is based on CGMI's proprietary pricing models and our internal
funding rate. It is not an indication of actual profit to CGMI or other of our affiliates, nor is it an indication of the price, if any,
at which CGMI or any other person may be wil ing to buy the securities from you at any time after issuance. See "Valuation
of the Securities" in this pricing supplement.
(2) CGMI, an affiliate of Citigroup Global Markets Holdings Inc. and the underwriter of the sale of the securities, is acting as
principal and wil receive an underwriting fee of $0.35 for each $10.00 security sold in this offering. Certain selected
dealers, including Morgan Stanley Wealth Management, and their financial advisors wil col ectively receive from CGMI a
fixed sel ing concession of $0.30 for each $10.00 security they sel . Additional y, it is possible that CGMI and its affiliates
may profit from hedging activity related to this offering, even if the value of the securities declines. See "Use of Proceeds
and Hedging" in the accompanying prospectus.
(3) Reflects a structuring fee payable to Morgan Stanley Wealth Management by CGMI of $0.05 for each security.
Investing in the securities involves risks not associated with an investment in conventional
debt securities. See "Summary Risk Factors" beginning on page PS-5.
Neither the Securities and Exchange Commission (the "SEC") nor any state securities commission has approved
or disapproved of the securities or determined that this pricing supplement and the accompanying product
supplement, underlying supplement, prospectus supplement and prospectus are truthful or complete. Any
representation to the contrary is a criminal offense.
You should read this pricing supplement together with the accompanying product supplement, underlying
supplement, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below:
Product Supplement No. EA-02-08 dated February 15, 2019 Underlying Supplement No. 8 dated February 21,
2019
Prospectus Supplement and Prospectus each dated May 14, 2018
The securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance
Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.

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Citigroup Global Markets Holdings Inc.
787,000 Trigger PLUS Based on a Basket of Three Underliers Due April 27, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities

Additional Information

General. The terms of the securities are set forth in the accompanying product supplement, prospectus supplement and
prospectus, as supplemented by this pricing supplement. The accompanying product supplement, prospectus supplement
and prospectus contain important disclosures that are not repeated in this pricing supplement. For example, certain events
may occur that could affect your payment at maturity. These events and their consequences are described in the
accompanying product supplement in the sections "Description of the Securities--Consequences of a Market Disruption
Event; Postponement of a Valuation Date" and "Description of the Securities--Certain Additional Terms for Securities
Linked to an Underlying Index--Discontinuance or Material Modification of an Underlying Index," and not in this pricing
supplement. The accompanying underlying supplement contains important disclosures regarding the basket components
that are not repeated in this pricing supplement. It is important that you read the accompanying product supplement,
underlying supplement, prospectus supplement and prospectus together with this pricing supplement in connection with
your investment in the securities. Certain terms used but not defined in this pricing supplement are defined in the
accompanying product supplement.

Postponement of the valuation date. If the valuation date is postponed for a reason that affects less than al of the
basket components, the final basket level wil be calculated based on (i) for each unaffected basket component, its closing
level on the original y scheduled valuation date and (i ) for each affected basket component, its closing level on the
valuation date as postponed (or, if earlier, the first scheduled trading day for that basket component fol owing the original y
scheduled valuation date on which a market disruption event did not occur with respect to that basket component). See
"Description of the Securities--Consequences of a Market Disruption Event; Postponement of a Valuation Date" in the
accompanying product supplement.

Investment Summary

The securities can be used:

As an alternative to direct exposure to the basket components that enhances returns, subject to the maximum return at
maturity, for a limited range of potential appreciation of the basket;

To enhance returns and potential y outperform the basket in a moderately bul ish scenario;

To obtain contingent protection against the loss of principal in the event of a decline of the basket as of the valuation
date, but only if the final basket level is greater than or equal to the trigger level; and

To achieve similar levels of upside exposure to the basket components as a direct investment, subject to the maximum
return at maturity, while using fewer dol ars by taking advantage of the leverage factor.

If the final basket level is less than the trigger level, the securities are exposed on a 1-to-1 basis to the percentage decline
of the final basket level from the initial basket level. Accordingly, investors may lose their entire initial investment in the
securities.

Maturity:
6 years
Leverage factor:
150.00%, subject to the maximum return at maturity. The leverage factor applies
only if the final basket level is greater than the initial basket level.
Maximum return at maturity:
$10.00 per security (100.00% of the stated principal amount)
Trigger level:
65.00%
Minimum payment at maturity:
None. Investors may lose their entire initial investment in the securities.
Interest:
None
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Key Investment Rationale

The securities provide for the possibility of receiving a return at maturity equal to 150.00% of the appreciation of the
basket, provided that investors wil not receive a return at maturity in excess of the maximum return at maturity of $10.00
per security. At maturity, if the basket has appreciated from the initial basket level to the final basket level, investors wil
receive the stated principal amount of their investment plus the leveraged upside performance of the basket, subject to the
maximum return at maturity. However, if the basket has depreciated by more than 35.00% from the initial basket level to
the final basket level, investors wil lose 1% for every 1% by which the final basket level is less than the initial basket level.
Under these circumstances, the payment at maturity wil be less than the stated principal amount and could be zero.
Investors may lose their entire initial investment in the securities. Al payments on the securities are subject to the
credit risk of Citigroup Global Markets Holdings Inc. and Citigroup Inc.

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Citigroup Global Markets Holdings Inc.
787,000 Trigger PLUS Based on a Basket of Three Underliers Due April 27, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities

Leveraged Upside Performance:
The securities offer investors an opportunity to capture enhanced returns relative
to a direct investment in the basket components within a limited range of positive
performance..
Upside Scenario:
If the final basket level is greater than the initial basket level, the payment at
maturity for each security wil be equal to the $10.00 stated principal amount plus
the leveraged return amount, subject to the maximum return at maturity of $10.00
per security (100.00% of the stated principal amount).
Par Scenario:
If the final basket level is less than or equal to the initial basket level but greater
than or equal to the trigger level, which means that the basket has depreciated
by no more than 35.00% from the initial basket level, the payment at maturity wil
be $10.00 per security.
Downside Scenario:
If the final basket level is less than the trigger level, which means that the basket
has depreciated by more than 35.00% from the initial basket level, you wil lose
1% for every 1% decline in the value of the basket from the initial basket level
(e.g., a 50% depreciation in the basket wil result in a payment at maturity of
$5.00 per security). There is no minimum payment at maturity on the securities,
and investors may lose their entire initial investment.

Hypothetical Examples

The diagram below il ustrates your payment at maturity for a range of hypothetical basket returns.

Investors in the securities will not receive any dividends that may be paid on the stocks that constitute the basket
components. The diagram and examples below do not show any effect of lost dividend yield over the term of the
securities. See "Summary Risk Factors--Investing in the securities is not equivalent to investing in the basket
components or the stocks that constitute the basket components" below.

Trigger PLUS
Payment at Maturity Diagram
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n The Securities n The Basket
April 2020
PS-3
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Citigroup Global Markets Holdings Inc.
787,000 Trigger PLUS Based on a Basket of Three Underliers Due April 27, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities

Your actual payment at maturity per security wil depend on the actual final basket level, which wil depend on the actual
closing level of each basket component on the valuation date. The examples below are intended to il ustrate how your
payment at maturity wil depend on whether the final basket level is greater than or less than the initial basket level and by
how much.

Example 1--Upside Scenario A. The hypothetical final basket level is 101.80 (a 1.80% increase from the initial basket
level), which is greater than the initial basket level.

Hypothetical
Hypothetical Weighted Component
Basket Component
Component Return
Weighting
Return (Hypothetical Component
Return times Weighting)
MSCI Emerging Markets® Index
3%
10%
0.30%
EURO STOXX 50® Index
-5%
30%
-1.50%
S&P 500® Index
5%
60%
3.00%
Sum of hypothetical weighted component returns:
1.80%

Hypothetical final basket level = 100 × (1 + sum of hypothetical weighted component returns)

= 100 × (1 + 1.80%)

= 100 × 1.018

= 101.80

Payment at maturity per security = $10 + the leveraged return amount, subject to the maximum return at maturity of $10.00
per security

= $10 + ($10 × the basket return × the leverage factor), subject to the maximum return at maturity of $10.00 per security

= $10 + ($10 × 1.80% × 150.00%), subject to the maximum return at maturity of $10.00 per security

= $10 + $0.27, subject to the maximum return at maturity of $10.00 per security

= $10.27

Because the basket appreciated from the initial basket level to the hypothetical final basket level and the leveraged return
amount of $0.27 per security results in a total return at maturity of 2.70%, which is less than the maximum return at
maturity of 100.00%, your payment at maturity in this scenario would be equal to the $10 stated principal amount per
security plus the leveraged return amount, or $10.27 per security.

Example 2--Upside Scenario B. The hypothetical final basket level is 205.00 (a 105.00% increase from the initial basket
level), which is greater than the initial basket level.

Hypothetical
Hypothetical Weighted Component
Basket Component
Component Return
Weighting
Return (Hypothetical Component
Return times Weighting)
MSCI Emerging Markets® Index
60%
10%
6.00%
EURO STOXX 50® Index
80%
30%
24.00%
S&P 500® Index
125%
60%
75.00%
Sum of hypothetical weighted component returns:
105.00%

Hypothetical final basket level = 100 × (1 + sum of hypothetical weighted component returns)

= 100 × (1 + 105.00%)

= 100 × 2.05
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= 205.00

Payment at maturity per security = $10 + the leveraged return amount, subject to the maximum return at maturity of $10.00
per security

= $10 + ($10 × the basket return × the leverage factor), subject to the maximum return at maturity of $10.00 per security

= $10 + ($10 × 105.00% × 150.00%), subject to the maximum return at maturity of $10.00 per security

= $10 + $15.75, subject to the maximum return at maturity of $10.00 per security

= $20

Because the basket appreciated from the initial basket level to the hypothetical final basket level and the leveraged return
amount of $15.75 per security would result in a total return at maturity of 157.50%, which is greater than the maximum
return at maturity of

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Citigroup Global Markets Holdings Inc.
787,000 Trigger PLUS Based on a Basket of Three Underliers Due April 27, 2026
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities

100.00%, your payment at maturity in this scenario would equal the maximum payment at maturity of $20 per security. In
this scenario, an investment in the securities would underperform a hypothetical alternative investment providing 1-to-1
exposure to the appreciation of the basket without a maximum return.

Example 3--Par Scenario. The hypothetical final basket level is 75.00 (a 25.00% decrease from the initial basket level),
which is less than the initial basket level but greater than the trigger level.

Hypothetical
Hypothetical Weighted Component
Basket Component
Component Return
Weighting
Return (Hypothetical Component
Return times Weighting)
MSCI Emerging Markets® Index
-40%
10%
-4.00%
EURO STOXX 50® Index
-40%
30%
-12.00%
S&P 500® Index
-15%
60%
-9.00%
Sum of hypothetical weighted component returns:
-25.00%

Hypothetical final basket level = 100 × (1 + sum of hypothetical weighted component returns)

= 100 × (1 + -25.00%)

= 100 × 0.75

= 75.00

Payment at maturity per security = $10

Because the basket depreciated from the initial basket level to the hypothetical final basket level, but not by more than
35.00%, your payment at maturity in this scenario would be equal to the $10 stated principal amount per security.

Example 4--Downside Scenario. The hypothetical final basket level is 30.00 (a 70.00% decrease from the initial basket
level), which is less than the trigger level.

Hypothetical
Hypothetical Weighted Component
Basket Component
Component Return
Weighting
Return (Hypothetical Component
Return times Weighting)
MSCI Emerging Markets® Index
-70%
10%
-7.00%
EURO STOXX 50® Index
-50%
30%
-15.00%
S&P 500® Index
-80%
60%
-48.00%
Sum of hypothetical weighted component returns:
-70.00%

Hypothetical final basket level = 100 × (1 + sum of hypothetical weighted component returns)

= 100 × (1 + -70.00%)

= 100 × 0.30

= 30.00

Payment at maturity per security = $10 + ($10 × the basket return)

= $10 + ($10 × -70.00%)

= $10 + -$7.00

= $3.00

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Because the basket depreciated from the initial basket level to the hypothetical final basket level by more than 35.00%,
your payment at maturity in this scenario would reflect 1-to-1 exposure to the negative performance of the basket.

April 2020
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